Report
OA Policy
English

Testing for Equality Between Two Copulas

Collection
  • Cahiers de recherche; 2006.05
Publication date2006
Abstract

We develop a test of equality between two dependence structures estimated through empirical copulas. We provide inference for independent or paired samples. The multiplier central limit theorem is used for calculating p-values of the Cramér-von Mises test statistic. Finite sample properties are assessed with Monte Carlo experiments. We apply the testing procedure on empirical examples in finance, psychology, insurance and medicine.

Citation (ISO format)
RÉMILLARD, Bruno, SCAILLET, Olivier. Testing for Equality Between Two Copulas. 2006
Main files (1)
Report
accessLevelPublic
Identifiers
  • PID : unige:5745
669views
893downloads

Technical informations

Creation04/15/2010 12:19:42 PM
First validation04/15/2010 12:19:42 PM
Update time03/14/2023 3:26:25 PM
Status update03/14/2023 3:26:25 PM
Last indexation10/29/2024 2:22:04 PM
All rights reserved by Archive ouverte UNIGE and the University of GenevaunigeBlack